I think it depends on the relative sensitivity of the person receiving the remark.
There are a few Latin friends I have who always make fun of my whiteness, how I am stiff as a board, have no soul, etc. In return, I make fun of them too in sterotypical ways, and we all get a good chuckle out of it. However, say a comment like that to other people, and they take it to heart and may take offense at it. Each person has their own personal 'filter' so to speak. How you set your own filter is not a matter of some rule, but a matter of how sensitive you would like you to be.
I'm not literally 'bald', but I do receive jokes about my hairline and I make jokes about my OWN hairline. It just does not bother me much. For example, I once spent a day at the beach, got a little skin color, and then had a haircut the following day. As you could imagine, there was a white, slightly pale outline around my receeding hairline as the once longer hair shielded that skin from the sun. One of my friends quipped about how it looked like I got a little color from the sun. I quipped back that the suntan was fine, but I wish I got my haircut before the day in the sun and not after... as it is bad enough to have a receeding hairline, but having it literally highlighted with pale skin just calls attention to it! Everybody laughed.
I think having an attitude like this disarms a lot of jerks who seek to potentially make an insult.
Eleanor Roosevelt once made one of my favorite quotes, and I think they are good words to live by:
No one can make you feel inferior without YOUR consent
